巴黎银行-外汇分析-fx positioning analysis-20170703-bnpparibas

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1、Thisdocumenthasbeenproducedby:EURlongpositionshaveextendedovertheweekto+27(-/+50BNPParibasLondonBranchscale).FXfundsappeartohavecuttheirshortEURpositions.MichaelSneydThemarketappearstohavebuiltalargelongSEKpositionMacroQuantitativeStrategistaheadofTuesday’sRiksbankmeeting,withthescorenow+2

2、7.USDshortpositionshaveincreasedtoascoreof-22,withtheNatalieRickardUSDnowthelargestshortintheG10.GraduateBearishsentimenttowardtheJPYisalsoincreasing,withJPYshortpositionsincreasingtoascoreof-15.Chart1:BNPParibasFXPositioningAnalysis–OverallPositioning*SHORTLONGSEK27EUR27NZD503-Jul-2017AUD

3、226-Jun-2017CAD0CHF-2NOK-11GBP-13JPY-15USD-22-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasapercentileFXFundBNPPClientRiskbasedonthepriorfiveyearsofdata.ThesepercentilesareIMMPositionTrendingExposureReversalsrescaledtogiveavaluebetween-50and+50.Valuesabove

4、TrackerIndicator40andbelow-40representextremepositions.-10-27-5024-49USD244637-431EURTointerpretascoreof-27,forexample,add50togive23.-11211-40-38JPYThistellsusthat23%ofobservationsoverthepastfiveyearshavebeenbelowthecurrentobservation.-42-13-1818-8GBP-18-70150CHF35-32-9-2735CAD-1715-789AUD25

5、49-7-452NZD-26-15-331NOK29-37-2-33SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposureIMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivityRiskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“marketse

6、ntiment”FXFundpositiontracker–RegressionbaseddecompositionofcurrencyfundpositioningBNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentumTheoverallcurrencyscoreisthencalculatedastheequallyweightedaverageofthecomponentsPleaserefertoimportantinformationattheendofthereportw

7、ww.GlobalMarkets.bnpparibas.comChart2:AbsoluteTotalG10PositioningOverallabsoluteFXPositioning2705yAverage22017012070Aug-14Feb-15Aug-15Feb-16Aug-16Feb-173YearhistoricplotofG10currencypositioningscoresChart3:USDOverallPositioningChart4:GBPOverallPosi